PROC REG Forecasting (Creating Forecast Confidence Intervals)

[Kevin_L_]

I want to create a AR(P) and eventually ARDL forecasting models by estimating the parametar values via OLS.  SAS seems to only use MLE or other non linear least squares to fit models. PROC AUTOREG seems to use OLS up until AR terms are used in the model (OLS isnt an option with nlag=). Therefore, I am using PROC REG and haveing to create forecasts myself. Most of that is easy except for the h-step-ahead forecasting intervals. Anyone know of a good way to program those? Or is there a package that estimates via OLS and will forecast? 

Thanks.

[imvash]

I suggest using PROC ARIMA. See the documentation at:

http://support.sas.com/documentation/cdl/en/etsug/63939/HTML/default/viewer.htm#etsug_arima_sect001....

You can specify LEAD=n option in FORECAST statement. See the details at:

http://support.sas.com/documentation/cdl/en/etsug/63939/HTML/default/viewer.htm#etsug_arima_sect024....

See the estimation methods at the following link; you might want to use the METHOD=ULS option as it produces unconditional least squares estimates:

http://support.sas.com/documentation/cdl/en/etsug/63939/HTML/default/viewer.htm#etsug_arima_sect036....

Alternatively, you can use the combination of HPFARIMASPEC procedure and PROC HPFENGINE. You will have all the options specified in PROC ARIMA as well. See the details at:

https://documentation.sas.com/?docsetId=hpfug&docsetVersion=14.3&docsetTarget=hpfug_hpfarimaspec_ove...

[Kevin_L_]

Thanks, Imvash. Is ULS the same as OLS? From the documentation, it appears to be same. Or is there a difference? 

Thanks. 

[imvash]

Same. It minimizes the sum of squared residuals.

[Kevin_L_]

Thanks again. One more question: When I run the same model in proc reg and proc arima, why would the parametar estimates differ? They are only differenent if I include lagged and differenced dependent variables. Does a data step calculate the lags and differences differently than proc arima? Or what would be the difference in estimates? Thanks!

[kamalhossain22]

Dear sir, good evening. I am new to SAS econometrics. I want to run Autoregressive Distributed Lag (ARDL) Model in SAS, but I could not find the steps to run the ARDL model in SAS. I could not find any example of the ARDL model in SAS, Can please help me provide the steps to run ARDL in SAS? Thank you with regards.